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Question 6 (12 marks) Consider a portfolio of loans to companies. Define Ti as the...

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Question 6 (12 marks) Consider a portfolio of loans to companies. Define Ti as the time when company i defaults. Denote the cumulative probability distribution of Ti as Q (for simplification, we assume the distribution is the same for all companies and equal to Q ). a) By introducing the one-factor Gaussian copula, derive the Vasicek's formula indicating the worstcase default rate (WCDR) for the portfolio; b) Explain how we can determine the Gaussian copula for this portfolio of loans

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